If you want to dual-boot (or triple-boot) from your USB drive, e.g. Windows To Go & Easy2Boot OR Ubuntu (wubi) & Easy2Boot, you can do it as follows:
1. Install the OS first (e.g. Ubuntu (wubi) or Windows To Go, etc.) onto your USB drive (non-GPT partitions only).
Note: E2B requires MBR ptn #4 to be unused (and ptn #3 should be free too, if you want some other features like linux booting with persistence).
Check partitions using RMPrepUSB.exe - Drive Info - 0.
If possible, use FAT32 or NTFS for the 1st partition and ensure it is large enough (16GB-128GB). I recommend you avoid Logical partitions if you have a Removable USB drive.
2. Ensure it works OK
3. Extract the E2B download directly onto the root of the USB drive (don't overwrite any existing files)
4. Install grub4dos using RMPrepUSB.exe - Install Grub4dos - MBR=Yes (do not install to the PBR)
5. Replace the contents of the menu.lst file in the root of the E2B drive, e.g. some example menu entries are shown below...